ois_convention Struct Reference

Conventions for an overnight index swap (OIS). More...

#include <ois_convention.hpp>

Collaboration diagram for ois_convention:

Public Attributes
int	version = 0
	Version number for optimistic locking and change tracking.
utility::uuid::tenant_id	tenant_id = utility::uuid::tenant_id::system()
	Tenant identifier for multi-tenancy isolation.
std::string	id
	Unique convention identifier.
int	spot_lag = 0
	Number of business days from trade date to spot date.
std::string	index
	Overnight index identifier (e.g. 'EUR-EONIA', 'USD-SOFR').
std::string	fixed_day_count_fraction
	Day count fraction for the fixed leg (canonical FpML).
std::optional< std::string >	fixed_calendar
	Fixed-leg payment calendar (e.g. 'TARGET').
std::optional< int >	payment_lag
	Number of business days between period end and payment.
std::optional< bool >	end_of_month
	Whether end-of-month convention applies.
std::optional< std::string >	fixed_frequency
	Fixed-leg payment frequency (canonical CDM, e.g. 'Annual').
std::optional< std::string >	fixed_convention
	Business day convention for fixed coupon dates (canonical FpML).
std::optional< std::string >	fixed_payment_convention
	Business day convention for fixed payment dates (canonical FpML).
std::optional< std::string >	rule
	Date generation rule for the schedule (e.g. 'Backward', 'CDS2015').
std::optional< std::string >	payment_calendar
	Payment calendar override (e.g. 'TARGET').
std::optional< int >	rate_cutoff
	Number of fixing days before period end that rate is locked.
std::string	modified_by
	Username of the person who last modified this OIS convention.
std::string	performed_by
	Username of the account that performed this action.
std::string	change_reason_code
	Code identifying the reason for the change.
std::string	change_commentary
	Free-text commentary explaining the change.
std::chrono::system_clock::time_point	recorded_at
	Timestamp when this version of the record was recorded.

Detailed Description

Conventions for an overnight index swap (OIS).

Defines the fixed-leg and overnight floating-leg parameters for an OIS. OIS are used to bootstrap risk-free overnight discount curves (e.g. EONIA, SOFR, SONIA). Corresponds to the <OIS> element in ORE conventions.xml.

Member Data Documentation

id

std::string id

Unique convention identifier.

Examples: 'EUR-OIS-CONVENTIONS', 'USD-OIS-CONVENTIONS'.

change_reason_code

std::string change_reason_code

Code identifying the reason for the change.

References change_reasons table (soft FK).